3 ms·
four-day returns of stock x: (-.3, .3, -.3, .3) -> MAD = 0; four-day returns of stock y: (-.5, .5, -.5, .5) -> MAD = 0.
by roywei 13y ago
four-day returns of stock x: (-.3, .3, -.3, .3) -> MAD = 0; four-day returns of stock y: (-.5, .5, -.5, .5) -> MAD = 0.
- andrewcooke 13y agonope. look at what the "A" in MAD stands for.
- michaelhoffman 13y agoNo, it's the median absolute deviation. Absolute deviation is the absolute difference between an average and a data point. So (-.3, .3, -.3, .3) -> MAD = 0.3; (-.5, .5, -.5, .5) -> MAD = 0.5.
- jameshart 13y agoThe A in MAD stands for 'absolute', so no, the MAD for those two stocks is .3 and .5 respectively - versus standard deviations of 0.35 and 0.58.
- spikels 13y agoYou have calculated the mean. This is only the first step in calculating the MAD (mean absolute deviation). You then need to take the absolute value of the difference (deviation) of each datapoint from this mean - for your x you get (.3, .3, .3, .3) and for your y (.5, .5, .5, .5). Finally you take the mean of these absolute deviations to get MAD(x)=0.3 and MAD(x)=0.5.